| Category | Value | Note | |
|---|---|---|---|
| Metric | |||
| Period frequency | Meta | 1D | Interpretation: Sampling frequency used for annualization. Smaller periods are generally more granular (but can be noisier). |
| Benchmark Asset | Meta | BTC | Interpretation: Column name of the benchmark asset used for alpha/beta and benchmark charts (if provided). |
| Fee % | Meta | 0.00025 | Interpretation: Trading fee rate applied to order notional (decimal units; e.g. 0.001 = 10 bps). |
| Slippage % | Meta | 0.001 | Interpretation: Slippage applied against the trader on execution prices (decimal units; e.g. 0.001 = 10 bps). |
| Init Cash | Meta | 10000.0 | Interpretation: Initial cash (starting equity) used for the simulation. |
| Trading Days Year | Meta | 365 | Interpretation: Trading days per year used for annualization. |
| Risk Free Rate | Meta | 0.03 | Interpretation: Annual risk-free rate used for Sharpe/Sortino (decimal units). |
| Simulation start date | Meta | 2023-08-09 00:00:00+00:00 | Interpretation: First timestamp in the simulation index. Earlier start dates generally make estimates more statistically stable. |
| Simulation end date | Meta | 2025-12-06 00:00:00+00:00 | Interpretation: Last timestamp in the simulation index. More recent end dates generally better reflect current market conditions. |
| First transaction date | Meta | 2023-08-09 00:00:00+00:00 | Interpretation: First timestamp with any executed trade. Earlier is generally better (less time inactive), depending on the strategy. |
| Annualized return % | Performance | 0.954832 | Definition: Geometric mean return annualized (decimal units). Interpretation: Higher is generally better, but interpret alongside risk and drawdowns. |
| Annualized volatility | Performance | 0.486667 | Definition: Sample standard deviation of returns annualized (decimal units). Interpretation: Lower is generally better for a given return level. Uses Bessel's correction (ddof=1) per industry standard. |
| Annualized Sharpe | Performance | 1.900338 | Definition: Annualized excess return divided by annualized volatility (sample statistics). Interpretation: Higher is generally better (rule of thumb: >1 is good, >2 is strong). |
| Max drawdown (equity) % | Performance | -30.015971 | Definition: Worst peak-to-trough % decline in equity. Interpretation: Less negative (closer to 0) is generally better. |
| Max drawdown (PnL) % | Performance | -213.575379 | Definition: Worst drawdown of cumulative PnL relative to prior PnL peak. Interpretation: Less negative (closer to 0) is generally better. |
| Total return % | Performance | 373.578518 | Definition: Ending equity / initial cash minus 1, expressed in percent. Interpretation: Higher is generally better. |
| Funding earnings | Costs | 10.013426 | Definition: Sum of funding payments (positive means net earned). Interpretation: Higher is generally better; negative values mean funding cost. |
| Fees | Costs | 1310.870193 | Definition: Sum of trading fees paid. Interpretation: Lower is generally better. |
| Annual turnover | Costs | 52.394012 | Definition: Average per-period one-sided turnover annualized (not percent), computed as min(total buys, total sells) / equity before trading. Interpretation: Lower is generally better (less trading/costs), unless the strategy requires frequent rebalancing. |
| Total order count | Costs | 52421 | Definition: Count of non-zero notional orders executed. Interpretation: Lower generally means less trading (and costs), but too low can indicate inactivity. |
| Average order notional | Costs | 100.02634 | Definition: Mean absolute notional per executed order. Interpretation: Good depends on liquidity and constraints; too large can be hard to execute. |
| Gross exposure mean % | Exposure | 128.741476 | Definition: Average sum(|positions|) as % of equity. Interpretation: Lower generally means less leverage; values above 100% indicate leveraged exposure. |
| Gross exposure median % | Exposure | 125.958446 | Definition: Median sum(|positions|) as % of equity. Interpretation: Lower generally means less leverage; values above 100% indicate leveraged exposure. |
| Gross exposure max % | Exposure | 400.43439 | Definition: Maximum sum(|positions|) as % of equity. Interpretation: Lower generally means tighter leverage control; very high peaks imply occasional high leverage. |
| Net exposure mean % | Exposure | -0.848327 | Definition: Average signed exposure as % of equity. Interpretation: Closer to 0 is generally more market-neutral; positive means net long, negative net short. |
| Net exposure median % | Exposure | -0.132525 | Definition: Median signed exposure as % of equity. Interpretation: Closer to 0 is generally more market-neutral; positive means net long, negative net short. |
| Net exposure max % | Exposure | 128.13548 | Definition: Max absolute signed exposure as % of equity. Interpretation: Lower absolute values generally mean better exposure control. |
| Alpha | Benchmark | 0.787718 | Definition: Annualized intercept vs benchmark excess returns (CAPM-style, sample statistics). Interpretation: Higher is generally better; near 0 implies little outperformance after adjusting for beta. |
| Beta | Benchmark | -0.057862 | Definition: Slope vs benchmark excess returns (CAPM-style, sample covariance/variance). Interpretation: Values near 1 behave like the benchmark; values near 0 have low benchmark sensitivity. |
| Benchmark annualized return % | Benchmark | 60.570186 | Definition: Benchmark geometric mean return annualized (percent units). Interpretation: Higher is generally better, but depends on your benchmark choice and sample. |
| Active annual return % | Benchmark | 20.026842 | Definition: Arithmetic mean of (strategy - benchmark) period returns annualized (percent units). Interpretation: Uses arithmetic (not geometric) mean to match tracking error calculation. Higher is generally better; negative means underperformance vs the benchmark. |
| Tracking error | Benchmark | 0.697594 | Definition: Sample std dev of active returns annualized (decimal units). Interpretation: Lower means closer to the benchmark; higher means more active risk. |
| Information ratio | Benchmark | 0.287084 | Definition: Active annual return divided by tracking error. Interpretation: Higher is generally better (rule of thumb: >0.5 is decent, >1 is strong). |
| R2 vs benchmark | Benchmark | 0.003165 | Definition: Squared correlation of returns vs benchmark returns. Interpretation: Higher means the benchmark explains more of the returns; lower implies more idiosyncratic behavior. |
| Calmar ratio | Distribution | 3.18108 | Definition: Annualized return divided by absolute max equity drawdown. Interpretation: Higher is generally better (more return per unit of drawdown). |
| Skewness | Distribution | 2.387562 | Definition: Skewness of period returns distribution. Interpretation: More positive skewness is often preferred (more upside tail), all else equal. |
| Kurtosis | Distribution | 27.531241 | Definition: Excess kurtosis of period returns distribution (normal distribution = 0). Interpretation: Higher values indicate fatter tails; lower (negative) values indicate thinner tails. |
| Best period return | Distribution | 0.286998 | Definition: Maximum single-period return. Interpretation: Higher is generally better, but interpret alongside worst-period and drawdowns. |
| Worst period return | Distribution | -0.127536 | Definition: Minimum single-period return. Interpretation: Less negative (closer to 0) is generally better. |
| Hit rate | Distribution | 0.527059 | Definition: Fraction of non-zero return periods that are positive. Interpretation: Higher is generally better. |
| Avg win | Distribution | 0.018113 | Definition: Mean return of positive-return periods. Interpretation: Higher is generally better. |
| Avg loss | Distribution | -0.015632 | Definition: Mean return of negative-return periods. Interpretation: Less negative (closer to 0) is generally better. |
| Profit factor | Distribution | 1.291312 | Definition: Sum of wins divided by absolute sum of losses. Interpretation: Higher is generally better; values >1 mean wins outweigh losses. |
| Max drawdown duration (periods) | Distribution | 130 | Definition: Longest consecutive underwater duration in periods. Interpretation: Shorter is generally better (capital recovers faster). |
| Time to recovery (periods) | Distribution | 131 | Definition: Periods from drawdown peak to recovering the prior peak. Interpretation: Shorter is generally better. |
| Average holding period | Portfolio | 26.710457 | Definition: Average consecutive periods with a non-zero position per asset. Interpretation: Good depends on the strategy; shorter implies more trading, longer implies lower turnover. |
| Costs % gross pnl | Portfolio | 14.926118 | Definition: Fees+slippage as % of gross PnL (before costs). Interpretation: Lower is generally better; near 0 means costs are small relative to edge. |
| Funding % total pnl | Portfolio | 0.026804 | Definition: Funding as % of net PnL. Interpretation: Lower absolute values are generally better; large magnitudes mean funding dominates PnL. |
| Average funding settled | Portfolio | 0.011767 | Definition: Average funding payment per period. Interpretation: Positive is generally better; negative means funding paid on average. |
| Max abs weight | Portfolio | 2.020014 | Definition: Maximum absolute target weight across assets/periods. Interpretation: Lower is generally better (less concentration/leverage), given the strategy's intent. |
| Mean abs weight | Portfolio | 0.040634 | Definition: Mean absolute target weight across assets/periods. Interpretation: Lower is generally better (less aggregate risk), given the strategy's intent. |
| Annualized Sortino | Risk | 3.178483 | Definition: Annualized excess return divided by annualized downside deviation. Interpretation: Higher is generally better; focuses on downside risk unlike Sharpe which penalizes upside volatility. |
| Downside deviation | Risk | 0.290967 | Definition: Sample std dev of negative returns annualized (decimal units). Interpretation: Lower is generally better; measures downside risk only. |
| VaR 95% | Risk | -0.033384 | Definition: Value at Risk at 95% confidence level (5th percentile of returns). Interpretation: Less negative (closer to 0) is generally better; worst expected loss in 19 out of 20 periods. |
| CVaR 95% | Risk | -0.048141 | Definition: Conditional Value at Risk at 95% confidence level (mean of returns below VaR). Interpretation: Less negative (closer to 0) is generally better; average loss when VaR is exceeded. |
| Omega Ratio | Risk | 1.291312 | Definition: Probability-weighted ratio of gains above threshold vs losses below threshold (uses 0 as threshold). Interpretation: Higher is generally better; values >1 mean gains outweigh losses. |
| Gain-to-Pain Ratio | Risk | 0.127138 | Definition: Sum of returns divided by sum of absolute returns. Interpretation: Higher is generally better; measures return per unit of total volatility. |
| Ulcer Index | Risk | 5.993044 | Definition: RMS (root mean square) of drawdowns, annualized. Interpretation: Lower is generally better; alternative drawdown-based risk measure that penalizes depth and duration. |
| Weight IC mean (next) | Signal | 0.022116 | Definition: Time-average cross-sectional correlation between weights at t and next-period asset returns (close-to-close), computed over the active universe (non-zero weights) each period. Interpretation: See definition. |
| Weight IC t-stat (next) | Signal | 1.931289 | Definition: t-stat of the time series of per-period weight IC values. Interpretation: Higher absolute values suggest more statistically reliable alignment (not a guarantee). |
| Weight Rank IC mean (next) | Signal | -0.013531 | Definition: Time-average Spearman-style (rank) IC between weights and next-period asset returns, computed over the active universe (non-zero weights) each period. Interpretation: See definition. |
| Weight Rank IC t-stat (next) | Signal | -1.191637 | Definition: t-stat of the time series of per-period weight rank IC values. Interpretation: See definition. |
| Top-bottom decile spread mean (next) | Signal | 0.005087 | Definition: Time-average next-period return spread between the top and bottom weight deciles within the active universe (assets with non-zero weights) each period. Interpretation: See definition. |
| Top-bottom decile spread t-stat (next) | Signal | 2.234272 | Definition: t-stat of the time series of top-minus-bottom decile spreads. Interpretation: See definition. |
| Weighted long hit rate mean (next) | Signal | 0.476172 | Definition: Average fraction of long gross weight placed in assets that have positive next-period returns (weights within each period). Interpretation: Higher is generally better. |
| Weighted short hit rate mean (next) | Signal | 0.515359 | Definition: Average fraction of short gross weight placed in assets that have negative next-period returns (weights within each period). Interpretation: Higher is generally better. |
| Forward return per gross mean (next) | Signal | 0.001856 | Definition: Average of (Σ w_t,i r_{t+1,i}) / (Σ |w_t,i|) each period. Interpretation: Normalizes for varying leverage and compares return per unit of gross weight. |
| Forward return selection per gross mean (next) | Signal | 0.001625 | Definition: Average of the cross-sectional selection component of Σ w_t,i r_{t+1,i}, normalized by gross weight (active universe, next-period). Interpretation: Higher is generally better. |
| Forward return selection per gross t-stat (next) | Signal | 2.675715 | Definition: t-stat of the time series of per-period selection-per-gross values. Interpretation: See definition. |
| Forward return directional per gross mean (next) | Signal | 0.000231 | Definition: Average of the directional component (net weight × mean next return of the active universe), normalized by gross weight (next-period). Interpretation: Magnitude near 0 indicates little directional dependence. |
| Forward return directional per gross t-stat (next) | Signal | 1.328641 | Definition: t-stat of the time series of per-period directional-per-gross values. Interpretation: See definition. |
| Gross weight mean | Signal | 1.280167 | Definition: Average gross weight (Σ |w_t,i|) across periods with available next returns. Interpretation: Higher implies more leverage/total exposure in the signal. |
| Directionality mean | Signal | 0.004842 | Definition: Average net-to-gross ratio (Σ w_t,i) / (Σ |w_t,i|). Interpretation: Values near 0 indicate market-neutral; positive is net long; negative net short. |